This application discloses an invention that is related, generally and in various embodiments, to transaction structures, systems, and methods for issuing one or more debt instruments backed by the market value of one or more assets.
In a common securitization scheme, an entity issues debt securities backed by the cash flow and other economic benefits generated by a pool of assets (usually loans or other debt instruments). In some other types of securitizations, the debt is backed by the market value of the assets, as opposed to the cash flows. In market-value-backed debt, such as traditional mortgage value debt or market-value CDOs (collateralized debt obligations), a dealer is often able to supply a quote or bid for the market value of the assets because the relevant market is sufficiently liquid. The market value quotes are then used to rate the issued debt. Similarly, for EETCs (enhanced equipment trust certificates), there is an appraisal of the underlying assets, typically aircraft, for which there is often a somewhat liquid market. Where, however, the assets are relatively illiquid, a dealer quote on the market value of the assets and/or an appraisal of the assets is often inadequate for debt sizing purposes by the rating agencies and, by extension, inadequate for the potential investors in the debt.